Asset and Liability Management (ALM) Specialist

Treasury's fiduciary mandate encompasses the Bank's funding pools, asset and liability management (ALM), liquidity reserves management, and supporting businesses in delivering their strategic targets at the global and local levels. Further, Treasury manages all financial resource optimization to implement the group's strategic objective and maximize long-term return on average tangible shareholders' equity (RoTE).

The current role is part of the Treasury Office in Mumbai. The position requires interactions with all key hubs i.e., London, New York, Frankfurt, and Singapore.

Function Description:

The Asset & Liability Management (ALM) team inside of Treasury is responsible for structural risk management for the firm, including Interest Rate Risk in the Banking Book (IRRBB).

The recent movement in interest rates has made IRRBB a key focus of top management and investors. Within the CFO organization, management of IRRBB is considered to be a top priority for the Bank.

Role Description:

The candidate will be part of the Asset & Liability Management (ALM) function responsible for managing the interest rate risk in the banking book (IRRBB). The team develops, parameterizes, and implements quantitative models to measure risk.

The results are used for risk management decisions and regular internal and external reporting. The team acts as an intermediary in Treasury itself and between the business units and other central functions like Market Risk Management. This gives you a unique view into many exciting, complex and important risk management topics.

Your key responsibilities:

• Monitor IRRBB metrics of Delta NII & Delta EVE under different model parameters and scenarios, including responsibility for timely production of Delta NII metrics for Group-Wide Stress Testing (GWST) scenarios.
• Perform risk analysis and prepare reports and presentations for senior management.
• Perform back-testing of Delta NII model outputs against actual results to identify potential deficiencies in model assumptions, methodology, or underlying data quality.
• Support the preparation of audit memos and related documentation required to facilitate closure of internal audit findings related to IRRBB processes, models, and data.
• Collaborate closely with the Risk in Banking Book (RIBB) team to ensure accurate and complete data capture enabling robust and reliable IRRBB metrics production.
• Develop and enhance Tableau dashboards to enable granular analysis and monitoring of IRRBB exposures and trends.
• Assist in daily and monthly production/analysis of Delta EVE and RNI (Risk Not In) reports.
• Support model governance activities, including model documentation, model risk assessments and remediation of model validation findings.

Your skills and experience:

• University degree with a quantitative focus such as Engineering, Finance, Mathematics or Computer Science.
• Good knowledge in data analysis and processing using Python.
• At least two years of relevant experience in Asset Liability Management, Risk Management or Treasury functions.
• Demonstrated expertise in creating compelling presentations and developing interactive dashboards using Tableau or similar visualization tools.
• Strong written, verbal communication and presentation skills.
• Distinctive analytical and problem-solving abilities and a tech-savvy mindset.
• Proven ability to leverage AI tools to enhance productivity, optimize workflows to solve business problems, while applying critical judgment to ensure responsible and ethical use of data and AI outputs.